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Market Selection of Constant Proportions Investment Strategies in Continuous Time

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Author Info
Jan PALCZEWSKI (University of Leeds and University of Warsaw)
Klaus Reiner SCHENK-HOPPE (University of Leeds)

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Abstract

This paper studies the wealth dynamics of investors holding self-financing portfolios in a continuous-time model of a financial market. Asset prices are endogenously determined by market clearing. We derive results on the asymptotic dynamics of the wealth distribution and asset prices for constant proportions investment strategies. This study is the first step towards a theory of continuous-time asset pricing that combines concepts from mathematical nance and economics by drawing on evolutionary ideas.

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Publisher Info
Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 08-29.

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Length: 32 pages
Date of creation: Sep 2008
Date of revision:
Handle: RePEc:chf:rpseri:rp0829

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Web page: http://www.SwissFinanceInstitute.ch
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Related research
Keywords: evolutionary finance; wealth dynamics; endogenous asset prices; random dynamical systems.;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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This page was last updated on 2009-12-26.

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